Control + Option on the Mac Keyboard should do this for you (Option on my keyboard has an alt on it too).

I also ran into a similar problem in a Windows XP VM that had once connected to a VMware Server 1 Console, and had the key sequence changed to Shift + Alt in the configuration. That was a real pain to figure out, because the ESX console insisted that the exit sequence was Control + Alt.

I've run into something like this inside a Windows XP VM running in VirtualBox on Ubuntu.

The problem can be traced back to the fact that either the virtual host or the system running the virtual host usurp one or more of the key combinations used by this "VM" (console) running in a virtualized system.

In Ubuntu, I had the "locate mouse pointer" activated - which uses the Control key (by itself) to locate the pointer. This meant that "control-alt" was usurped by the operating system for the mouse locator function.

Things improved when I shut that off. It also worked better when I used "alt-control" (ALT followed by CONTROL - pressed and held) instead of the reverse.

Look out for keys like this in the operating system and in the virtual machine host; they will supersede anything in the virtual machine.

I highly recommend installing VMWare Tools on the guest systems as this allows for fluid movement of the mouse between the guest machine's console and your system.

In Linux you can use the this method or follow this tutorial to install VMWare tools. VMWare tools also improves performance of the guest's virtual hardware so it is recommended to install this on all guest systems.